| 基于风险溢价和特征要素的中国股市B/M效应 |
| |
| 引用本文： | 郭磊,吴冲锋. 基于风险溢价和特征要素的中国股市B/M效应[J]. 系统管理学报, 2006, 15(2): 145-148 |
| |
| 作者姓名： | 郭磊 吴冲锋 |
| |
| 作者单位： | 1. 中国银行业监督管理委员会河南监管局,郑州,450003;上海交通大学,金融工程研究中心,上海,200052
2. 上海交通大学,金融工程研究中心,上海,200052 |
| |
| 摘 要： | 对B/M效应已有研究结果进行回顾,总结了B/M效应解释中存在的风险溢价和特征要素观点冲突。通过基于产业与资本市场的资产定价模型的推导原理和经济涵义,统一了对B/M效应的理性风险补偿与特征要素解释观点;实证效果证实了之前的理论结果。
|
| 关 键 词： | B/M效应 规模效应 收益可预测性 风险溢价 过度反应 |
| 文章编号： | 1005-2542(2006)02-0145-04 |
| 修稿时间： | 2005-01-19 |
Study on B/M Effect in Chinese Stock Market Bases on Risk Premium and Characteristic Factors |
| |
| GUO Lei,WU Chong-feng. Study on B/M Effect in Chinese Stock Market Bases on Risk Premium and Characteristic Factors[J]. Systems Engineering Theory·Methodology·Applications, 2006, 15(2): 145-148 |
| |
| Authors: | GUO Lei WU Chong-feng |
| |
| Abstract: | This paper reviews the known research on B/M effect and indicates the conflict between explanation of risk premium and that of character factors.Then it is demonstrated that the B/M variable enters asset pricing model by way of risk premium and character factor.The subsequent empirical results prove the theoretical impression. |
| |
| Keywords: | B/M effect size effect return predictability risk premium over-reaction |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
